| Metric | EQW | ^DJI | SPY | MV (100d) | BL (100d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 99.0% | 99.0% |
| Cumulative Return | 4,779.81% | 934.16% | 1,778.12% | 1,553.52% | 5,473.08% |
| CAGR﹪ | 13.78% | 8.07% | 10.23% | 9.77% | 14.29% |
| Sharpe | 0.76 | 0.52 | 0.61 | 0.55 | 0.89 |
| Prob. Sharpe Ratio | 100.0% | 99.78% | 99.96% | 99.87% | 100.0% |
| Smart Sharpe | 0.71 | 0.49 | 0.57 | 0.52 | 0.84 |
| Sortino | 1.09 | 0.74 | 0.86 | 0.79 | 1.32 |
| Smart Sortino | 1.02 | 0.69 | 0.81 | 0.74 | 1.24 |
| Sortino/√2 | 0.77 | 0.52 | 0.61 | 0.56 | 0.93 |
| Smart Sortino/√2 | 0.72 | 0.49 | 0.57 | 0.52 | 0.88 |
| Omega | 1.15 | 1.1 | 1.12 | 1.11 | 1.18 |
| Max Drawdown | -58.9% | -53.78% | -55.19% | -55.73% | -40.08% |
| Max DD Date | 2009-03-05 | 2009-03-09 | 2009-03-09 | 2008-11-21 | 2009-03-09 |
| Max DD Period Start | 2007-10-10 | 2007-10-10 | 2007-10-10 | 2008-06-06 | 2007-12-14 |
| Max DD Period End | 2010-12-09 | 2013-03-04 | 2012-08-15 | 2012-07-27 | 2010-11-03 |
| Longest DD Days | 1157 | 2450 | 2404 | 2684 | 1056 |
| Volatility (ann.) | 19.59% | 17.96% | 18.96% | 20.83% | 16.49% |
| Calmar | 0.23 | 0.15 | 0.19 | 0.18 | 0.36 |
| Skew | -0.06 | -0.17 | -0.06 | -0.13 | 0.34 |
| Kurtosis | 11.07 | 12.17 | 11.11 | 26.42 | 9.91 |
| Expected Daily | 0.05% | 0.03% | 0.04% | 0.04% | 0.05% |
| Expected Monthly | 1.08% | 0.65% | 0.81% | 0.78% | 1.12% |
| Expected Yearly | 13.36% | 7.83% | 9.92% | 9.47% | 13.85% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -1.97% | -1.82% | -1.92% | -2.11% | -1.65% |
| Expected Shortfall (cVaR) | -3.68% | -3.68% | -3.68% | -3.68% | -3.68% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.15 | 1.1 | 1.12 | 1.11 | 1.18 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.98 | 0.97 | 0.94 | 0.96 | 0.98 |
| Outlier Win Ratio | 3.91 | 4.28 | 4.11 | 3.78 | 4.56 |
| Outlier Loss Ratio | 3.81 | 4.13 | 3.83 | 3.61 | 4.42 |
| MTD | 2.37% | 2.57% | 5.17% | 2.75% | 2.86% |
| 3M | 10.2% | 10.94% | 12.06% | 14.55% | 12.27% |
| 6M | 13.08% | 14.12% | 16.79% | 14.37% | 14.42% |
| YTD | 2.06% | 3.83% | 6.85% | 10.08% | 8.54% |
| 1Y | 12.27% | 18.42% | 29.36% | 16.19% | 16.26% |
| 3Y (ann.) | 6.92% | 6.31% | 10.76% | 8.99% | 8.05% |
| 5Y (ann.) | 10.97% | 9.1% | 14.72% | 18.91% | 10.7% |
| 10Y (ann.) | 11.25% | 9.29% | 12.72% | 16.38% | 12.14% |
| All-time (ann.) | 13.78% | 8.07% | 10.23% | 9.77% | 14.29% |
| Best Day | 11.97% | 11.37% | 14.52% | 21.39% | 10.84% |
| Worst Day | -11.42% | -12.93% | -10.94% | -17.88% | -8.36% |
| Best Month | 19.0% | 13.95% | 12.7% | 21.52% | 15.05% |
| Worst Month | -15.87% | -15.13% | -16.52% | -22.46% | -13.79% |
| Best Year | 45.92% | 33.45% | 38.05% | 50.31% | 54.6% |
| Worst Year | -37.32% | -33.84% | -36.8% | -39.51% | -20.08% |
| Avg. Drawdown | -2.05% | -2.18% | -1.91% | -2.82% | -1.99% |
| Avg. Drawdown Days | 23 | 37 | 27 | 41 | 23 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.1 | 0.13 | 0.15 | 0.15 | 0.08 |
| Serenity Index | 1.57 | 0.7 | 0.79 | 0.86 | 1.6 |
| Avg. Up Month | 4.66% | 3.93% | 4.08% | 4.25% | 3.93% |
| Avg. Down Month | -5.01% | -4.97% | -4.87% | -4.69% | -3.7% |
| Win Days | 54.34% | 53.4% | 54.41% | 53.32% | 54.39% |
| Win Month | 65.75% | 62.71% | 65.19% | 59.66% | 64.15% |
| Win Quarter | 74.38% | 66.94% | 72.73% | 65.83% | 73.33% |
| Win Year | 83.87% | 74.19% | 80.65% | 87.1% | 87.1% |
| Year | EQW | ^DJI | SPY | MV (100d) | BL (100d) |
|---|---|---|---|---|---|
| 1994 | 10.95 | 1.92 | 0.81 | 5.79 | 14.16 |
| 1995 | 37.88 | 29.25 | 32.63 | 33.48 | 44.38 |
| 1996 | 27.60 | 23.85 | 21.15 | 11.20 | 29.44 |
| 1997 | 29.08 | 22.18 | 30.91 | 24.08 | 33.91 |
| 1998 | 28.98 | 16.90 | 27.71 | 6.21 | 24.44 |
| 1999 | 30.45 | 23.80 | 20.19 | -2.31 | -1.75 |
| 2000 | 12.30 | -4.22 | -7.41 | 5.62 | 38.04 |
| 2001 | 1.56 | -5.12 | -10.11 | 3.39 | -9.13 |
| 2002 | -15.61 | -15.11 | -20.83 | -25.97 | -6.33 |
| 2003 | 33.43 | 23.95 | 26.20 | 30.11 | 20.77 |
| 2004 | 13.69 | 3.69 | 10.78 | 6.25 | 16.12 |
| 2005 | 8.10 | -0.08 | 5.25 | 5.83 | 4.98 |
| 2006 | 18.09 | 15.58 | 15.21 | 11.75 | 27.69 |
| 2007 | 9.68 | 7.29 | 6.28 | 7.89 | 13.28 |
| 2008 | -37.33 | -34.13 | -37.36 | -37.95 | -17.02 |
| 2009 | 43.07 | 20.17 | 26.93 | 23.68 | 16.50 |
| 2010 | 17.77 | 11.76 | 15.63 | 10.33 | 13.20 |
| 2011 | 4.89 | 7.59 | 4.53 | 13.13 | 13.72 |
| 2012 | 17.95 | 7.69 | 15.64 | 15.16 | 15.65 |
| 2013 | 31.20 | 24.03 | 28.62 | 30.22 | 28.28 |
| 2014 | 16.48 | 7.84 | 13.27 | 12.13 | 11.95 |
| 2015 | 3.30 | -1.07 | 2.41 | 14.33 | 5.58 |
| 2016 | 16.56 | 13.38 | 12.18 | 9.20 | 12.80 |
| 2017 | 19.78 | 22.61 | 19.88 | 25.32 | 22.92 |
| 2018 | -5.89 | -4.20 | -3.23 | 2.67 | 6.93 |
| 2019 | 21.13 | 20.94 | 27.97 | 21.53 | 18.74 |
| 2020 | 14.81 | 13.82 | 22.47 | 49.58 | 17.25 |
| 2021 | 25.79 | 17.94 | 26.11 | 22.79 | 9.74 |
| 2022 | -3.61 | -7.24 | -17.13 | -2.93 | 3.17 |
| 2023 | 12.44 | 13.49 | 24.11 | 3.87 | 5.27 |
| 2024 | 2.14 | 3.81 | 6.73 | 9.78 | 8.28 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2010-12-09 | -58.90 | 1157 |
| 2020-01-21 | 2020-11-13 | -38.98 | 298 |
| 2001-05-22 | 2003-11-28 | -33.63 | 921 |
| 2022-01-13 | 2023-12-13 | -23.07 | 700 |
| 2011-05-11 | 2012-02-02 | -20.87 | 268 |
| 1998-07-20 | 1998-11-20 | -20.54 | 124 |
| 2018-01-29 | 2019-07-11 | -18.70 | 529 |
| 2000-01-18 | 2000-03-31 | -15.03 | 74 |
| 2001-02-02 | 2001-05-15 | -14.65 | 103 |
| 2015-05-22 | 2016-03-31 | -12.99 | 315 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 1998-07-20 | 1998-11-20 | -19.26 | 124 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 1997-08-07 | 1998-02-09 | -13.30 | 187 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 1998-07-21 | 1998-11-20 | -19.03 | 123 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 1997-10-08 | 1997-12-04 | -11.20 | 58 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-06 | 2012-07-27 | -55.73 | 1513 |
| 1998-07-20 | 2005-11-23 | -41.44 | 2684 |
| 2020-02-13 | 2020-06-09 | -29.63 | 118 |
| 2022-04-21 | 2024-02-23 | -24.06 | 674 |
| 2007-07-19 | 2008-06-04 | -18.01 | 322 |
| 2015-04-13 | 2015-09-24 | -16.06 | 165 |
| 2020-09-02 | 2021-05-05 | -14.03 | 246 |
| 2018-12-03 | 2019-06-06 | -13.62 | 186 |
| 1997-08-08 | 1998-01-28 | -13.48 | 174 |
| 1996-05-06 | 1996-11-05 | -13.15 | 184 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-12-14 | 2010-11-03 | -40.08 | 1056 |
| 2002-05-24 | 2004-01-23 | -29.92 | 610 |
| 1999-07-19 | 2000-08-10 | -28.11 | 389 |
| 2020-02-11 | 2020-07-13 | -19.17 | 154 |
| 2022-04-21 | 2023-12-29 | -17.59 | 618 |
| 2000-12-29 | 2001-05-17 | -15.38 | 140 |
| 2001-05-21 | 2002-02-28 | -14.40 | 284 |
| 2011-05-13 | 2011-12-20 | -13.91 | 222 |
| 2018-10-03 | 2019-06-06 | -13.58 | 247 |
| 1997-07-31 | 1997-11-28 | -13.14 | 121 |